LIU Chun is an Associate Professor of Finance in the School of Economics and Management at Tsinghua University. He received his Ph.D. in Economics from University of Toronto, Canada in 2007, Masters in Finance from Tsinghua University in 2001, and BA in Finance from Tsinghua University in 1999.
His research interests are Finance Econometrics, Financial Markets and Risk Management. Dr. Liu teaches Asset Pricing, Financial Econometrics, Risk Managements and Derivatives.
His publications are Journal Articles "Forecasting Realized Volatility: A Bayesian Model Averaging Approach "（Journal of Applied Econometrics）;"Are There Structural Breaks in Realized Volatility?" (Journal of Financial Econometrics) ;" Who Is the Winner in the Mutual Fund Market?" (Journal of Financial Research) ; " Identifying Structural Breaks by Marginal Likelihoods "( Statistical Research) ; " Do Institutional Investors Aggravate the Instability of Stock Markets"( Journal of Financial Research) ; "The Effect of Macroeconomic Factors on Chinese Industry Stock Returns"(Finance and Trade Economics); Working Papers" Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market”. (with John Maheu). "、" On the Economic Integration and Financial Contagion", (with Jiaxing You and Guqian Du) ".
He is a CFA and FRM Charter holder.
He is the assistant professor at the School of Economics and Management, Tsinghua University from 2007 until now.
Journal Papers (International)
Chun Liu, John Maheu，“Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market”，Pacific Basin Finance Journal, forthcoming
Chun Liu and Qing Liu, "Marginal Likelihood Calculation for Gelfand-Dey and Chib Method”，Economics Letters, Forthcoming.
Chun Liu, John Maheu， "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, 24(5), 2009
Chun Liu, John Maheu，“Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, 6(3), Summer, 2008.
Chun LIU and John Maheu, Forecasting Realized Volatility: A Bayesian Model Averaging Approach,Journal of Applied Econometrics,Vol.24 No.5 p709-733,2009-08-01
Chun LIU and John Maheu, Are There Structural Breaks in Realized Volatility?,Journal of financial econometrics,Vol.6 No.2008,summer,p326-360,2008-08-01